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subject:"Stochastic process"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~subject:"Cointegration"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Estimation theory"
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Stochastic process
Volatility
Cointegration
Stochastischer Prozess
Estimation theory
137
Schätztheorie
137
Time series analysis
59
Zeitreihenanalyse
59
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Estimation
18
Schätzung
18
Theorie
18
Theory
18
Volatilität
15
Kointegration
14
ARCH model
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ARCH-Modell
12
Statistical test
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Statistischer Test
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Bootstrap-Verfahren
11
Induktive Statistik
10
Regression analysis
10
Regressionsanalyse
10
Statistical inference
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USA
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United States
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Forecasting model
9
Prognoseverfahren
9
Maximum likelihood estimation
8
Maximum-Likelihood-Schätzung
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VAR model
8
VAR-Modell
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Autocorrelation
6
Autokorrelation
6
Modellierung
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Nichtlineare Regression
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Nonlinear regression
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Scientific modelling
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Graue Literatur
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English
38
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Nielsen, Morten Ørregaard
5
Teräsvirta, Timo
5
Johansen, Søren
4
Kristensen, Dennis
3
Silvennoinen, Annastiina
3
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Christensen, Bent Jesper
2
Lunde, Asger
2
Pakkanen, Mikko S.
2
Rahbek, Anders
2
Rossi, Eduardo
2
Santucci de Magistris, Paolo
2
Amado, Cristina
1
Andersen, Torben
1
Bohn Nielsen, Heino
1
Carlini, Federico
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Corcuera, José Manual
1
Creel, Michael D.
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
1
Franchi, Massimo
1
Frederiksen, Per
1
Gatarek, Lukasz
1
Gijbels, Irène
1
Guégan, Dominique
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hounyo, Ulrich
1
Hubrich, Kirstin
1
Jakobsen, Johan Stax
1
Kanaya, Shin
1
Kang, Jian
1
Kruse, Robinson
1
Kurita, Takamitsu
1
Lasak, Katarzyna
1
MacKinnon, James G.
1
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CREATES research paper
Journal of econometrics
198
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Economics letters
53
Econometric reviews
52
Discussion paper / Tinbergen Institute
48
Econometric theory
46
Economic modelling
41
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
33
Econometrics : open access journal
29
Cowles Foundation discussion paper
27
The econometrics journal
25
Applied economics letters
23
International journal of forecasting
23
Journal of empirical finance
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
19
Quantitative finance
18
Applied economics
17
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
17
Finance research letters
17
International journal of economics and financial issues : IJEFI
17
Journal of financial econometrics
17
Journal of forecasting
17
Discussion papers of interdisciplinary research project 373
16
Journal of banking & finance
16
Journal of risk and financial management : JRFM
16
SFB 649 discussion paper
16
Working paper / Department of Econometrics and Business Statistics, Monash University
16
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
15
International journal of theoretical and applied finance
15
European journal of operational research : EJOR
14
Computational economics
13
Empirical economics : a quarterly journal of the Institute for Advanced Studies
13
The North American journal of economics and finance : a journal of financial economics studies
13
NBER Working Paper
12
Working paper
12
Cowles Foundation Discussion Paper
11
International journal of economics and finance
11
Journal of time series econometrics
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ECONIS (ZBW)
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Estimation of continuous-time linear DSGE models from discrete-time measurements
Christensen, Bent Jesper
;
Neri, Luca
;
Parra-Alvarez, …
-
2023
Persistent link: https://www.econbiz.de/10014280884
Saved in:
2
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
3
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
4
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
5
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
Johansen, Søren
;
Swensen, Anders Rygh
-
2021
Persistent link: https://www.econbiz.de/10012620761
Saved in:
6
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
7
Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren
;
Nyboe Tabor, Morten
-
2017
Persistent link: https://www.econbiz.de/10011624144
Saved in:
8
The role of cointegration for optimal hedging with heteroscedastic error term
Gatarek, Lukasz
;
Johansen, Søren
-
2017
Persistent link: https://www.econbiz.de/10011624150
Saved in:
9
Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
Franchi, Massimo
;
Johansen, Søren
-
2017
Persistent link: https://www.econbiz.de/10011648634
Saved in:
10
Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
-
2016
Persistent link: https://www.econbiz.de/10011524100
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